vinced that intervention is effective in changing the exchange rate.1 Recently two phenomena have advanced our understanding of intervention. The first is the use of event studies to evaluate the effects of intervention. Generically, an event study is an examination of asset price behavior associated with some event, such as a merger, announcement, or intervention. Event studies are used to ass...

This study investigates the interdependence between crude oil fluctuations and stock return dynamics of major BRICS market returns namely China Russia, over last turbulent period ranging from September 2001 to March 2019. We used a VAR-GARCH model that allows for simultaneous spillover in volatility return, under Student’s t- distribution. In addition prices, foreign exchange rates are so inclu...

We present an empirical investigation of the hypotheses that exchange rate volatility may have an impact on both the volume and variability of trade flows by considering a broad set of industrial countries’ bilateral real trade flows over the period 1980–1998. Similar to the findings of earlier theoretical and empirical research, our first set of results shows that the impact of exchange rate u...

The purpose of this paper is to implement theoretically, the observation that the relative importance of fundamental versus technical analysis in the foreign exchange market depends on the time horizon in currency trade. For shorter time horizons, more weight is placed on technical analysis, while more weight is placed on fundamental analysis for longer horizons. The theoretical framework is th...

This paper investigates the role of Australian macro-economic announcement news on ® ve major Australian dollar (AUD) exchange rates. Speci® cally, the daily changes of the exchange rates are modelled to ascertain the existence and the nature of the news e€ ects in the conditional mean and variance of the changes. It is found that a higher than expected current account de® cit and unemployment ...

Financial market time series exhibit high degrees of non-linear variability, and frequently have fractal properties. When the fractal dimension of a time series is non-integer, this is associated with two features: (1) inhomogeneity— extreme fluctuations at irregular intervals, and (2) scaling symmetries— proportionality relationships between fluctuations over different separation distances. In...

This paper discuss the associations and model construction between Taiwan and Korea’s exchange rate markets during the period from January 2000 to July 2008. The empirical results show that the mutual effects of the Taiwan and the Korea’s exchange rate markets may construct in bivariate IGARCH (1, 1) model. The empirical result also shows that there exists the positive relations between Taiwan ...

We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, deterministic and finally rates. For each model, we include detailed derivations of the corresponding SDE systems, list required input data steps calibration. give conditions under which a can exist given European option prices, rate model parameters, correlations. The models are pos...

This paper summarizes several research works which deal with the different effects that volatility of exchanges rates has on economy. Among those effects, most studied have been international trade and economic growth. Over last five decades, there a debate at theoretical level views empirical whether gains from flexibility got under flexible exchange outweigh losses increased uncertainty often...

because of its extensive applications in financial analysis, stock market volatility modeling is a significantly important issue for stock market practitioners and academicians. using garch models to formulate the conditional variance heteroskedasticity and the taking advantages of panel data technique such as higher degrees of freedom, more flexibility in the control of the omitted or unobserv...